Pet Policy and Housing Prices: Evidence from the Condominium Market

This paper examines the economic impact of restrictions against keeping domestic pets in residential dwellings. Using a large data sample of condominium sales, we empirically estimate price effects associated with pet restrictions. Our results suggest that an unrestricted pet policy creates a significant premium in condominium price, along with discounts for condominiums that do not allow pets or have pet restrictions. This finding is useful for policy makers, developers of new condominium projects, and condominium owner associations in their decisions to establish or alter laws and regulations regarding restrictions on pet owner residents.     

Spatial Competition and Shopping Externalities: Evidence from the Housing Market

In search markets, greater spatial concentration of sellers increases price competition. At the same time, though, a greater concentration of sellers can create a shopping externality by attracting more buyers to the site. Using housing sales data, we test for spatial competition and shopping externality effects on prices and marketing time. We find that they reflect both competitive and shopping externality effects from surrounding houses, although the relative strength varies with how fresh the house is in the market, the freshness of surrounding houses, and the phase of the market cycle. New listings have the strongest shopping externality effect on neighboring houses that have been on the market for some time. Vacant houses have their strongest competition effects in the declining market and externality effects in the rising market. Fresh houses on the market reap little benefit from shopping externalities in all phases of the market cycle.     

Homeowner Borrowing and Housing Collateral: New Evidence from Expiring Price Controls

I empirically analyze how changes in access to housing collateral affect homeowner borrowing behavior. To isolate the role of collateral constraints from that of wealth effects, I exploit the fully anticipated expiration of resale price controls on owner‐occupied housing in Montgomery County, Maryland. I estimate a marginal propensity to borrow out of housing collateral that ranges between $0.04 and $0.13 and is correlated with homeowners' initial leverage. Additional analysis of residential investment and ex‐post loan performance indicates that some of the extracted funds generated new expenditures. These results suggest a potentially important role for collateral constraints in driving household expenditures.     

波动率风险及风险价格——来自中国A股市场的证据

本文应用Fama-Macbeth估计方法,以1997年2月至2009年6月中国A股股票为样本,考察股票市场波动率风险及其风险价格的特征。研究表明:波动率风险是一个显著的横截面定价因子,其风险价格为负,该结论不受流动性及市场偏度因子、待检资产改变、波动率模型设定的影响;在资产定价模型中引入波动率风险因子有利于解释规模效应和账面市值比效应异象。波动率的风险因子可以涵盖部分宏观经济变量的定价信息,规模因子是波动率风险因子的代理变量。     

Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market

Short‐sales practices in the Hong Kong stock market are unique in that only stocks on a list of designated securities can be sold short. By analyzing the price effects following the addition of individual stocks to the list, we find that short‐sales constraints tend to cause stock overvaluation and that the overvaluation effect is more dramatic for individual stocks for which wider dispersion of investor opinions exists. These findings are consistent with Miller's (1977) intuition and other optimism models. We also document higher volatility and less positive skewness of individual stock returns when short sales are allowed.     

Vested Interest and Biased Price Estimates: Evidence from an Auction Market

This study employs a new data set from art auctions to examine the relationship between auctioneer presale price estimates and the long‐term performance of artworks. We find that the price estimates for expensive paintings have a consistent upward bias over a long period of 30 years. High estimates at the time of purchase are associated with adverse subsequent abnormal returns. Moreover, the estimation error for individual paintings tends to persist over time. These results are consistent with the view that auction house price estimates are affected by agency problems and that some investors are credulous.     

The Dividend Pricing Model: New Evidence from the Korean Housing Market

It is generally conceded that dividend pricing models are poor predictors of asset prices. This finding is sometimes attributed to excess volatility or to a dividend process manipulated by firm managers. In this paper, we present rather powerful panel tests of the dividend pricing relation using a unique data set in which dividends are set by market forces independent of managers' preferences. We rely on observations on the market for condominium dwellings in Korea—perhaps the only market in which information on dividends and prices is publicly and continuously available to consumers and investors. We extend the “dividend-price ratio model” to panels of housing returns and rents differentiated by type and location. We find broad support for the dividend pricing model during periods both before and after the Asian Financial Crisis of 1997–1998, suggesting that the market for housing assets in Korea has been remarkably efficient. Previous versions of this paper were presented at the Hong Kong-Singapore International Real Estate Research Symposium, August 2004, Hong Kong and the meeting of the Hong Kong Economic Association, January 2005. We are grateful for the comments of Ashok Bardhan, Yuming Fu, Chinmoy Ghosh, Lok Sang Ho, Charles Ka Yui Leung, Sau Kim Lum and Seow Eng Ong. Son's research was supported by the Konkuk University and Hwang's research was supported by the National University of Singapore.     

房价上涨对P2P网络借贷成本的影响分析——来自“人人贷”的经验证据

本文利用中国P2P行业代表企业“人人贷”网络贷款平台的交易数据和中国70个大中城市的房价数据,实证研究了房价上涨对P2P网络借贷市场上的借款利率所产生的影响。实证结果表明,房价上涨显著增加了P2P借贷市场上的借款利率。进一步分析发现,房价上涨对P2P借贷市场上生产经营类、买房类和其他消费类借款项目的借款利率均具有显著的正向影响,且这一增加效应在生产经营类和买房类借款项目中体现得更为明显。此外,基于异质性的分析还发现,相比于一二线城市,房价上涨对三四线城市借款项目的借款利率影响更大。本文的研究发现,房价上涨对新兴互联网信贷市场的影响机制存在,这为相关部门制定房价调控和互联网金融监管政策提供了参考和补充。     

The Price of Political Uncertainty: Theory and Evidence from the Option Market

We empirically analyze the pricing of political uncertainty, guided by a theoretical model of government policy choice. To isolate political uncertainty, we exploit its variation around national elections and global summits. We find that political uncertainty is priced in the equity option market as predicted by theory. Options whose lives span political events tend to be more expensive. Such options provide valuable protection against the price, variance, and tail risks associated with political events. This protection is more valuable in a weaker economy and amid higher political uncertainty. The effects of political uncertainty spill over across countries.     

The Housing Market Effects of Local Home Purchase Restrictions: Evidence from Beijing

Home prices have surged in major Chinese cities, leading to concerns of asset price bubbles and housing affordability. The policy of home purchase restrictions (HPR) has been one of China’s harshest housing market interventions to squeeze out speculative demand and dampen the soaring home prices. Beijing was the first city to implement the HPR. Employing the regression discontinuity design technique, we find that Beijing’s HPR policy triggered a 17–24 % decrease in resale price, a drop in the price-to-rent ratio of about a quarter of its mean value, and a deep (1/2 to 3/4) reduction in the transaction volume of the for-sale market, with no significant change in the rent or the transaction volume of rental units. In submarkets where housing supply was less elastic, the effects of the HPR were larger in price and smaller in quantity, suggesting that wealthy buyers likely benefited more from the HPR. The scope of the analysis does not allow conclusions regarding the persistence or longevity of these effects.     

International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs

Given the rapid increase of the number of emerging market stocks being dually listed abroad, it is important to understand the role of the foreign markets in the price discovery process. We examine this issue by studying the role of the London Global Depositary Receipts (GDR) market for Indian stocks. We find that the London and the Mumbai prices are cointegrated despite arbitrage restrictions imposed by Indian government regulations. Each market contributes almost equally to price discovery, a result in contrast to the small contribution of offshore markets to price discovery of stocks based in developed economies. The GDR market's contribution to price discovery increases with the foreign ownership of the firm and GDR issue size. We also find evidence of significant volatility spillovers from the London market to the Indian market. The overall results suggest that offshore trading in emerging market stocks play a beneficial role by aiding domestic price discovery.     

Price Interactions in a Sequential Global Market: Evidence from the Cross-listed Stocks

In this paper, we investigate the pattern of dynamic interactions among the prices of those stocks that are cross-listed on the three major stock markets of the world, i.e. New York, London and Tokyo. Major findings are: first, regardless of the nationality of stocks, innovations in the 'home' market returns are always fed into the returns in the 'overseas' markets, with the former causing the latter in the Granger sense. However, innovations in the New York market returns of foreign stocks are fed back into their respective home markets, contributing to the price discovery there. Second, the 'succeeding' overseas market, which operates immediately after the home market, plays a dual-role: it conducts the home market innovations to the next-opening overseas market, as well as adds its own innovations. Third, the exchange rate changes substantially influence the overseas market returns, but not the home market returns. The exchange rates appear to play a role in the transmission mechanism mainly via the inter-market price parity.     

Housing Price Dynamics in Time and Space: Predictability,Liquidity and Investor Returns

It is widely accepted that aggregate housing prices are predictable, but that excess returns to investors are precluded by the transactions costs of buying and selling property. We examine this issue using a unique data set—all private condominium transactions in Singapore during an eleven-year period. We model directly the price discovery process for individual dwellings. Our empirical results clearly reject a random walk in prices, supporting mean reversion in housing prices and diffusion of innovations over space. We find that, when house prices and aggregate returns are computed from models that erroneously assume a random walk and spatial independence, they are strongly autocorrelated. However, when they are calculated from the appropriate model, predictability in prices and in investment returns is completely absent. We show that this is due to the illiquid nature of housing transactions. We also conduct extensive simulations, over different time horizons and with different investment rules, testing whether better information on housing price dynamics leads to superior investment performance.     

从财税的角度看房价与房地产市场

中国的财税体制正朝向公共财政方向改革,经济结构的调整也在避免对房地产依赖过重,从大的宏观背景出发,能够更清楚地看到未来应该会怎样。     

The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market

This study attempts to discover the intraday firm-specific news announcements and return volatility relation in the Turkish stock market. The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on volatility persistence with and without trading volume. For the majority of the stocks in the sample, the volatility persistence diminishes with the inclusion of firm-specific news, implying that news is impounded rapidly into prices. This effect is more pronounced for larger stocks. When there is no news, the trading volume does not appear to reduce the volatility persistence for the majority of stocks, possibly due to the presence of private information possessed by informed traders.     

Social Capital and Housing Affordability: Evidence from China

This article attempts to examine the problem of housing affordability in China based on a set of household-level survey data. In contrast to the previous studies, our study focuses on the important implication of social capital for households’ house-purchasing decisions in this country. Our results show that household expenditures on the relations with parents and other relatives are important determinants for homeownership in China. We also find evidence that house-purchasing decisions are significantly affected by relatives-related variables such as number of immediate relatives in the same city, distance from parents, educational years of family head’s father, and whether parents are alive. Our research helps shed new light on the high homeownership rates in urban China.     

The Intraday Price of Money: Evidence from the e‐MID Interbank Market

We provide empirical evidence, based on tick‐by‐tick data for the e‐MID euro area interbank market covering 2003 and 2004, that the overnight interest rate shows a clear downward pattern throughout the operating day. Thus, a positive hourly interest rate (half basis point) implicitly emerges from the intraday term structure of the overnight rate. Such a pattern was not detected in the mid‐1990s: we explain this evolution as an outcome of the recent trend toward real‐time settlement. The estimated intraday interest rate is lower than in the United States: this is due to the different cost of central bank daylight credit.     

Home-Purchase Limits and Housing Prices: Evidence from China

Home-purchase limits, introduced by China’s central government in April 2010 and afterward implemented by the local governments of major cities successively, were usually regarded as the most stringent policy instruments regulating over-heated Chinese housing markets over recent years. Our study attempts to investigate the effects of the home-purchase limits based on the micro data of resale housing transactions between January 2008 and December 2011 in Guangzhou city, one of the largest cities in mainland China. Our regression results show that, while the central government’s notice negatively affects housing prices, the localized home-purchase limit measures have positive effects on housing prices in Guangzhou, which deviate far from the expectations the policy makers might have. We also find that the effects of the policies are significantly stronger for the housing units of high-rise building (or with big size) relative to those without elevators (or with small size). We provide the explanation from the aspects of policy uncertainty and redevelopment option embodied in the housing.